EFTA00610132.pdf

Deutsche Bank AG eu sc e =an roup 'a ua ion a amen SOUTHERN FINANCIAL, LLC Request 182298 As of 03 Aug 15 Aug 2015 Page ". Of 3 For Sales Inquiries Contact: Daniel Sabba (Tel) (Email) For questions relating to this statement contact Valuations NY (Tel) 1 (Email) SOUTHERN FINANCIAL, LLC To: Jabwcpa Gmail (Email) Richard Kahn12 (Email) ,Hnw Clientservices (Email) Gedeon Pinedo (Email) Mark Whyman (Email) Vahe Stepanian (Email) Amanda Kirby (Email) Paul Morris (Email) Daniel Sabba (Email) Mane Dwyer (Email) Fx Rates: USD/EUR = .9112862806 Note:-All Values are shown from the DB Group's point of view. A negative Value therefore expresses an amount which is In your favour, while a positive amount is one which Is in DB Group favour. The terms and conditions of each transaction are specified in the relevant trade Confirmation. Deutsche Bank Group (-DB") is providing the valuations set forth above as an accommodation to you solely for your own internal use. Unless expressly stated otherwise, valuations represent DB's current economic assessment of the transaction or instrument as of the date specified. DB's economic assessment is typically derived all or in pan from model prices, external sources, market prices and/or DB's internal books and records prices. Valuations may be adjusted to take into account market, liquidity, credit, operational or other risks, and/or to reflect adjustments based upon our willingness to unwind all or pan of your position or revenue that has been generated but not yet recognized by DB ("Premium Adjustments"). Such Premium Adjustments will generally always decline over time, as DB's appetite to unwind at a premium will generally decline over time, which will lead to lower valuations in the absence of changes in market conditions. Valuations, including those containing Premium Adjustments, may not represent the terms at which new transactions or instruments could be entered into with DB or the terms at which existing transactions or instruments could be liquidated or unwound with DB. DB may change its valuation methodology and the related adjustments and assumptions at any time, so that future valuations may be less favourable than the current ones, even in the absence of an adverse development in market conditions. Valuations based on different assumptions or calculated using other methodologies may also yield different results and any adjustments may not apply for the duration of the transaction or instrument Any subsequent valuations provided to you will almost certainly differ from this valuation. This difference can be less favourable to you, and due to the volatility of market conditions, the size or notional amount of the decrease or increase and other factors, the differential could be substantial. DB shall not be liable for any errors or omissions made in calculating or disseminating valuations, or for any inaccuracies or flaws in the methodologies, adjustments or assumptions. DB specifically disclaims liability for any losses or damages (incidental, consequential or otherwise) that may arise from valuations that are either used or relied upon by you or any other party for any reason including, without limitation, your use of valuations in preparation of your own financial books and records. Statement ID : EFTA00610132 ., SOUTHERN FINANCIAL, LLC ig.. •eu sc e =an roup 'a ua ion Request 182298 As of 03 Aug 15 a emen C4 Aug 2015 Page 2 or 3 Deutsche Bank AG SOUTHERN FINANCIAL, LLC Credit • Default Swap _ Trade ID Counterparty Trade Type Ref. Entity Trade Date Eff. Date Maturity Date BuySell NotAmt 1 Not.Ccy1 Not.Amt 2 Not.Ccy2 Rate Spread MTM(USD) C79707541.1 SOUTHERN CREDIT BRASOV FINANCIAL, LLC DERIVATIVE. DEFSWAP I3-Jan-2015 14.Jan.2015 20Mar2020 SELL 10.000.000.00 USD 10.000.000.00 USD 1.0000 284 (769.729.32) Subtotal: (769,729.32) Equity • Option rib Ticket Counterparty Ref. Entity Putt Call Expiry Date Not.Amt Not.Ccy Quantity Strike Price Spot Price Implied Volatility Fair Price MTM(USD) LN 618753 SOUTHERN LN_6187538U FINANCIAL LLC NY618176 SOUTHERN TWTFLN FINANCIAL. LLC CALL CALL 111Dec.2015 (4.166.000.00) 27,lan-2016 3.896.620.00 USD (4.166.000) USD 100100 1.0000 38.9662 29.2700 46.3092 1.119 (71.540.48) 111/6201 Subtotal: 40,321.53 FX • Options DealGrouplD Counterparty Trade Type Trade Date Maturity Date Settlement Not.Ccy NoLC,cy Date Nottunt 1 1 NotAmt 2 2 Long/ Short Option Style Put/ Cal Strike Price MTM(USD) 418822243.' SOUTHERN FxEuroOpt 12Aug-2014 834462396 FINANCIAL, LW 497117498f SOUTHERN FxEuroOpl 02.42015 1037233558 FINANCIAL, LW 497117498/ SOUTHERN FxEwoOpl 024'1.2015 1037233559 FINANCIAL, LW 497126993/ SOUTHERN FxEuroOpl 02,42015 1037255502 FINANCIAL, LW 497126993/ SOUTHERN FxEuroOpt 02,142015 1037255503 FINANCIAL, LLC 12Aug-2015 04.lan2016 04.lan-2016 04.lan-2016 04.lan2016 14Aug-2015 7510010010 USD 06Jan•2016 50.000.000.00 EUR 06.lan2016 50,000,000.00 EUR 06.lan2016 25.000.000.00 EUR 06.lan2016 25,000,00010 EUR (462.000.000.00) CMI (52.000.000.00) USD (58.200.000.00) USD (26,250.000.00) USD (28,912,500.00) USD SHORT SHORT LONG SHORT LONG EUROPEAN EUROPEAN EUROPEAN EUROPEAN EUROPEAN PUT PUT CALL PUT CALL 6.1600 1.0400 1.1640 1.0500 1.1565 0.00 (457.702.71) 363,77422 (279.625.18) 217,825.12 Subtotal: (155.928.55) Statement ID : The valuation information set forth in this statement is provided subject to the terms and conditions set forth in the notes on the cover sheet EFTA00610133 eu sc e =an roup 'a ua ion a amen SOUTHERN FINANCIAL, LLC Request 182298 As of 03 Aug 15 04 Aug 2015 Page 3 Of 3 Deutsche Bank AG SOUTHERN FINANCIAL, LLC Why-Swap DOM db Ticket Counterparry Ref. Entity Put/ Call Expiry Date NotAmt NoLCcy NotAmt 2 Not.Ccy2 Strike Price MTM(USD) 612676 SOUTHERN TWTR.N 01•Feb20I6 (3,470,000.00) FINANCIAL. LLC USD 34.7000 543.453.41 Subtotal: 543.453.41 Total: (341.882.93) Statement ID : The valuation information set forth in this statement Is provided subject to the terms and conditions set forth in the notes on the cover sheet EFTA00610134